Global Belirsizlik Faktörlerinin BIST Hisse Senedi Fiyatlarına Asimetrik Etkilerinin NARDL Modeliyle Analizi

Yıl 2022, Sayı: 118, 71 - 100, 21.10.2022

Mevlüt Camgöz

https://doi.org/10.33203/mfy.1103403

Cited By: 1

Öz

Bu çalışmanın amacı global belirsizlik faktörlerinin BIST hisse senedi fiyatlarına olan kısa ve uzun dönem asimetrik etkilerinin NARDL (Nonlineer Gecikmesi Dağıtılmış Otoregresif) yöntemi kullanılarak ortaya konulmasıdır. Global belirsizlik faktörlerini temsilen ekonomik, jeopolitik, enerji ve finansal risklerin ölçüldüğü zımni volatilite endeksleri kullanılmıştır. Ampirik bulgulara göre, incelenen tüm hisse senedi fiyatları ile global belirsizlik faktörleri arasında uzun dönem asimetrik eşbütünleşme ilişkisi saptanmıştır. Hem uzun dönem hem de kısa dönem analizlerde, belirsizlik faktörleri hisse senedi fiyatlarını farklı yön ve ölçüde, asimetrik olarak etkilemektedir. Elde edilen bulgular yatırımcılar açısından varlık dağılımı, çeşitlendirme, risk yönetimi ve alım-satım kararlarının verilmesinde önemli bir rol oynayacaktır.

Anahtar Kelimeler

Belirsizlik Faktörleri, Zımni Volatilite Endeksleri, Hisse Senedi Piyasası, NARDL Yöntemi

Destekleyen Kurum

Yoktur

Proje Numarası

Yoktur

Teşekkür

-

Analysis of the Short and Long Term Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices via the NARDL Method

Öz

The aim of this study is to examine the short and long-term asymmetric effects of global uncertainty factors on BIST stock prices, employing the NARDL (Nonlinear Autoregressive Distributed Lag) method. Implied volatility indices, which measure economic, geopolitical, energy, and financial risks, are used to represent global uncertainty factors. Empirical findings show that there is a long-term asymmetric cointegration relationship between all stocks and global uncertainty factors under investigation. In both long-term and short-term analyzes, uncertainty factors affect stock prices in different directions and extents asymmetrically. The findings will figure an important role in making asset allocation, diversification, risk management, and trading decisions for investors and portfolio managers.

Anahtar Kelimeler

Uncertainty Factors, Implied Volatility Indices, Stock Market, NARDL Method

Proje Numarası

Yoktur

Kaynakça

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